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Accounting statement and network centrality-based index enhancement system and method

A technology of accounting statements and network center, applied in the application field of network science in finance, to achieve the effect of increasing income and high portfolio rate of return

Pending Publication Date: 2022-06-03
SHANGHAI UNIVERSITY OF FINANCE AND ECONOMICS
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

[0004] The information of listed companies reflected in the accounting statements is closely related to the stock market performance of listed companies, and the existing inventions rarely consider the information contained in the accounting statements

Method used

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  • Accounting statement and network centrality-based index enhancement system and method
  • Accounting statement and network centrality-based index enhancement system and method
  • Accounting statement and network centrality-based index enhancement system and method

Examples

Experimental program
Comparison scheme
Effect test

Embodiment 1

[0024] This embodiment provides an index enhancement system based on accounting statements and network centrality, which specifically includes:

[0025] Accounting data collection module: used for data collection of specified accounting indicators; the specified accounting indicators should cover all accounting information.

[0026] In this embodiment, the accounting indicators include 12, which are earnings per share (yuan), net assets per share (yuan), gross profit margin on sales (%), net profit margin on sales (%), return on net assets ( %), main business revenue growth rate (%), net profit growth rate (%), accounts receivable turnover rate (times), inventory turnover rate (times), current ratio (times), quick ratio (times) ,Assets and liabilities(%). For missing data, padded with 0.

[0027] Accounting indicator selection module: It is used to select important indicators that can reflect the rise and fall of stocks from the specified accounting indicators by using the r...

Embodiment 2

[0045] This embodiment provides a method for using the system described in Embodiment 1, such as figure 1 As shown, the specific process is:

[0046] S1. First, select accounting indicators that can achieve full coverage of accounting information, namely: earnings per share (yuan), net assets per share (yuan), gross profit margin (%), net profit margin (%), net assets Yield (%), main business income growth rate (%), net profit growth rate (%), accounts receivable turnover rate (times), inventory turnover rate (times), current ratio (times), quick ratio (times), asset-liability ratio (%), and then collect data for each accounting index through the accounting data collection module. If there are missing data in the original data, the missing data is regarded as 0. The accounting indicator selection module adopts the random forest model to select important indicators that can reflect the rise and fall of stocks from 12 accounting indicators. The classification method adopts th...

Embodiment 3

[0058] This embodiment detects the effectiveness of the index enhancement strategy based on accounting statements and network centrality of Embodiment 1-2 by using the yield index. Calculated as follows:

[0059]

[0060] Among them, P 2 refers to the closing price of the last day of the range; P 1 Refers to the closing price on the first day of the range. Using the semiconductor index's 2015 annual report, 2016 annual report, 2017 annual report, 2018 annual report, and 2019 first quarter report to do analysis and stock selection, the results show that: the 2015 annual report selects 4 stocks with a benchmark yield of -32.46%, and a portfolio yield of -32.46%. 16.52%, the portfolio yield is 15.94% higher than the benchmark yield; in the 2016 annual report, 8 stocks were selected with a benchmark yield of 0.21%, the portfolio yield was 7.67%, and the portfolio yield was 7.46% higher than the benchmark yield; in the 2017 annual report The benchmark yield of 5 stocks is -6....

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Abstract

The invention discloses an index enhancement system and method based on accounting statements and network centrality, which can be applied to portfolio investment. The method is characterized in that accounting statement fundamental data and network science centrality indexes are fused, firstly, important indexes which can be used for reflecting stock fluctuation of listed companies are mined by using a random forest model, and then a network between the listed companies is constructed based on Pearson correlation coefficients of the indexes. An index enhancement strategy capable of effectively increasing income is provided from the perspective of network science.

Description

technical field [0001] The invention relates to the technical field of application of network science in finance, in particular to an index enhancement system and method based on accounting statements and network centrality. Background technique [0002] The index enhancement strategy is a method of pursuing returns that exceed the benchmark index under the premise of controlling the tracking error of the benchmark index. From the perspective of investment philosophy, enhanced index funds combine passive investment and active investment strategies. They have greater flexibility in investment. In addition to targeting indices, enhanced active investment methods are also introduced. Appropriate adjustments are made to obtain excess market returns while controlling risks, in order to exceed the performance of the underlying index over the same period. Index-enhanced funds have attracted the attention of institutional and individual investors due to their low fees, high transpa...

Claims

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Application Information

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IPC IPC(8): G06Q10/06G06Q40/04G06Q40/06G06K9/62
CPCG06Q10/06393G06Q40/06G06Q40/04G06F18/24323
Inventor 刘建国郭强王哲欧阳
Owner SHANGHAI UNIVERSITY OF FINANCE AND ECONOMICS
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